"30E/360 ISDA" - Day Count Examples by ISDA

Q

What "30E/360 ISDA" Day Count examples provided by ISDA?

✍: FYIcenter.com

A

ISDA (International Swaps and Derivatives Association) offers a large number of examples on how to calculate DiR(T1,T2) with the 30E/360 ISDA Day Count Convention as shown below:

Day_Count_Factor(Y1,M1,D1,Y2,M2,D2)
  = DiR(Y1,M1,D1,Y2,M2,D2) / 360

DiR(Y1,M1,D1,Y2,M2,D2) = 360×(Y2-Y1) + 30×(M2-M1) + (D2-D1)
  where D1 and D2 are adjusted as below:
    If T1 is End of Month, set D1 = 30;
    If T2 is End of Month, 
      except it's End of February and the Maturity Date, set D2 = 30.

  Y1-M1-D1     Y2-M2-D2   D1   D2   DiR
----------   ----------   --   --   ---  
  Maturity   2009-08-20         
2006-08-20   2007-02-20   20   20   180
2007-02-20   2007-08-20   20   20   180
2007-08-20   2008-02-20   20   20   180
2008-02-20   2008-08-20   20   20   180
2008-08-20   2009-02-20   20   20   180
2009-02-20   2009-08-20   20   20   180

  Maturity   2012-02-29         
2006-02-28   2006-08-31   30   30   180
2006-08-31   2007-02-28   30   30   180
2007-02-28   2007-08-31   30   30   180
2007-08-31   2008-02-29   30   30   180
2008-02-29   2008-08-31   30   30   180
2008-08-31   2009-02-28   30   30   180
2009-02-28   2009-08-31   30   30   180
2009-08-31   2010-02-28   30   30   180
2010-02-28   2010-08-31   30   30   180
2010-08-31   2011-02-28   30   30   180
2011-02-28   2011-08-31   30   30   180
2011-08-31   2012-02-29   30   29   179

  Maturity   2008-02-29         
2006-01-31   2006-02-28   30   30    30
2006-01-30   2006-02-28   30   30    30
2006-02-28   2006-03-03   30    3     3
2006-02-14   2006-02-28   14   30    16
2006-09-30   2006-10-31   30   30    30
2006-10-31   2006-11-28   30   28    28
2007-08-31   2008-02-28   30   28   178
2008-02-28   2008-08-28   28   28   180
2008-02-28   2008-08-30   28   30   182
2008-02-28   2008-08-31   28   30   182
2007-02-28   2008-02-28   30   28   358
2007-02-28   2008-02-29   30   29   359
2008-02-29   2009-02-28   30   30   360
2008-02-29   2008-03-30   30   30    30
2008-02-29   2008-03-31   30   30    30

Maturity   2009-02-28         
2007-01-15   2007-01-30   15   30    15
2007-01-15   2007-02-15   15   15    30
2007-01-15   2007-07-15   15   15   180
2007-09-30   2008-03-31   30   30   180
2007-09-30   2007-10-31   30   30    30
2007-09-30   2008-09-30   30   30   360
2007-01-15   2007-01-31   15   30    15
2007-01-31   2007-02-28   30   30    30
2007-02-28   2007-03-31   30   30    30
2006-08-31   2007-02-28   30   30   180
2007-02-28   2007-08-31   30   30   180
2007-02-14   2007-02-28   14   30    16
2007-02-26   2008-02-29   26   30   364
2008-02-29   2009-02-28   30   28   358
2008-02-29   2008-03-30   30   30    30
2008-02-29   2008-03-31   30   30    30
2007-02-28   2007-03-05   30    5     5
2007-10-31   2007-11-28   30   28    28
2007-08-31   2008-02-29   30   30   180
2008-02-29   2008-08-31   30   30   180
2008-08-31   2009-02-28   30   28   178
2009-02-28   2009-08-31   30   30   180

You can get a copy of these examples by downloading Excel file provided at https://www.isda.org/a/mIJEE/30-360-2006ISDADefs.xls.

⇒ "30E/360 ISDA" - Whole Accrual Period

⇐ "30E/360 ISDA" - Rules Expressed Differently

⇑ Day Count Convention - "30E/360 ISDA"

⇑⇑ Day Count Conventions

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What is the "30E/360" Day Count Convention? 30E/360 - 30E/360 is a Day Count Convention used for bonds issued by some European governments. 30E/360 is also referred as 30/360 Eurobond, 30/360 European, 30/360 ICMA, 30/360 ISMA, 30S/360 Special German, Eurobond, Eurobond Basis, EBD/360. 30E/360 is fo... 2026-02-05, ∼517🔥, 0💬

What Is "30/360"
What is the "30/360" Day Count Convention? 30/360 - 30/360 is a Day Count Convention used by the US agency and corporate bonds. 30/360 is also referred as 30/360 ISDA, 30/360 Bond Basis, 30/360 U.S. Municipal, 30A/360, 360/360, Bond Basis. 30/360 can be formally defined as: Day_Count_Factor(Y1,M1,D1... 2026-04-13, ∼488🔥, 0💬

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"30/360 US" - Test Cases
What test cases can be used to verify the 30/360 US Day Count Convention? To verify the 30/360 US Day Count Convention, we should consider the following test cases: Is Accrual Period EOM: No Maturity Date: 2066-02-15 EOM Adj # T1 T2 D1 D2 D1 D2 DiR n1 2026-01-15 2026-02-15 15 15 15 15 30 n2 2026-01-... 2026-02-14, ∼440🔥, 0💬

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What are the variations of the EOM rule in the 30/360 US Day Count Convention? An important feature of the 30/360 US Day Count Convention is the EOM rule as highlighted below: Day_Count_Factor(Y1,M1,D1,Y2,M 2,D2)= DiR(Y1,M1,D1,Y2,M2,D2) / DiY(Y1,M1,D1,Y2,M2,D2) DiR(Y1,M1,D1,Y2,M2,D2) = 360×(Y2-Y1) +... 2026-03-22, ∼434🔥, 0💬

"30/360" - Day Count Examples by ISDA
What "30/360" Day Count examples provided by ISDA? ISDA (International Swaps and Derivatives Association) offers a large number of examples on how to calculate DiR(T1,T2) with the 30/360 Day Count Convention as shown below: Day_Count_Factor(Y1,M1,D1,Y2,M 2,D2)= DiR(Y1,M1,D1,Y2,M2,D2) / 360 DiR(Y1,M1... 2026-04-13, ∼396🔥, 0💬

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References
Where to find references on Day Count Conventions? Here is a list of references on Day Count Conventions: 30/360 Bond Basis, 30E/360 Eurobond Basis, 30E/360 ISDA , isda.org - It offers a large number of day count examples on 30/360, 30E/360 and 30E/360 Day Count Conventions in an Excel file. EMU and... 2026-07-13, ∼330🔥, 0💬

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